Lots of Chinese recipes uses alcohol to enhance flavor. When a recipe calls for cooking wine, it usually mean Shaoxing wine.
Shaoxing wine (绍兴黄酒, Shaoxing Huang Jiu) is a type of Huangjiu, literally means yellow wine. It is made from ferment rice, has a translucent amber color and with alcohol percentage of 14% – 20%. It has a mixed complicated flavor of sweet, bitter, sour and spicy, regarded as a popular beverage in China, especially for hot winter drink. It’s a crucial ingredients in cooking as well.
Cooking wine is often called in marinade. It’s also widely used in braising and stir fried dishes. By adding it into marinade, it can eliminate the raw smell of meat and infuse a nice flavor to the dish. Same logic to using red wine in cooking.
Sourcing a good Shaoxing wine without salt content can be tricky outside of China. In this case, do consider Japanese sake and dry sherry. Both do very well in Asian cooking and can result in a very similar flavor.
Generally speaking, dry sherry is closer to Shaoxing wine, only with a slight hint of sweetness. Japanese sake is more delicate and mild, and also has a sweet flavor. If you have both on hand, use dry sherry in pungent dishes (esp. spicy ones), and use sake to cook delicate dishes (such as dumpling filling, soup, etc.). We always have sake in the fridge, because we love to drink it, too!
You might able to use smaller amount of whiskey or Vodka in certain Asian dishes to replace cooking wine, but it will largely depend on the recipe itself. Use these alternatives only if you’re very familiar with Asian cooking.
Read the label before you purchase any Shaoxing wine. It should NOT contain salt. The US-branded Shaoxing wine often contains a very high salt content, because that’s the only way it can be sold in a shop without liquor restrictions. Do not get this type.
You might able to find the good Shaoxing wine at large Asian market, but unlikely if you live in a smaller city. In this case, visit liquor store or supermarket for sake or dry sherry.
Once opened, Shaoxing wine and dry sherry can be stored in a cool, dark place for a few months. If you seldom use it, you should store it in the fridge. I always prefer to keep opened sake in the fridge, because it loses its delicate fragrant much faster than other cooking wine.